The aim of this work is to find the dynamics of interdependencies and similarities between European, American and Asian stock markets. The investigation covers daily returns of 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model...

In this paper a modification of the diagonalization method, originally put forward by Hoen (2002), is suggested which is aimed at uncovering clusters of sectors within an input-output framework. Our interest in this subject was largely motivated by the fact that the preceding method appears to...

In this paper we provide an empirical analysis of announcements of resignation of board members using data which comes from the Warsaw Stock Exchange. The market reaction to this information is tested at different time horizons by means of event study methodology. The results show that market...

In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply...

The main aim of this paper is to examine the relationship between the increasing share of institutional investors resulting from the pension reform in Poland and stock return autocorrelation as well as risk level on the Warsaw Stock Exchange. The problem under consideration is investigated by...

The transition process from a centrally planned economy to a market economy started in Poland at the beginning of the 1990s. In this paper we try to answer the question in which direction has the structure of Polish economy changed, if indeed it has. By means of the key sector analysis applied...

This paper concerns the relationship between stock returns and trading volume. We use daily stock data of the Polish companies included in the WIG20 segment (the twenty most liquid companies quoted on the primary market of the Warsaw Stock Exchange). The sample covers the period from January...

The main aim of this paper is to explore the information content of dividend and buy back announcements. Using daily data from the Warsaw Stock Exchange, we investigate the reaction of stock prices of the announcing firms as well as the industry rivals to the announcement issue. The regression...